>> Can I export my team’s Direct Messages (DMs)? > No, we do not allow the export of Direct Messages.
As for this, this is very much in the "feature" category rather than the "bug" category. As much as communication on a company provided platform may not have a reasonable expectation of privacy, people still use these chats for private communication that they don't necessarily want all their coworkers knowing. Well done to Quill for taking this design approach. It may not even be technically possible if they're doing E2E encryption with DM participants.